The following changes will be made:
-
Value after haircut for the following equities:
- ELUX B, 64%
- SKF B, 71%
-
Value after haircut for government bills and bonds, Kommuninvest Bonds and World Bank Green Bonds:
- Time to maturity 10-20 years, 87%
- Time to maturity 20-30 years, 80%
- The minimum rating criteria for government bills and bonds and World Bank Green Bonds are changed from AA+ and/or Aa1 to AA- and/or Aa3. Due to this change, French government bills and bonds will be eligible as collateral.
- Point D under General conditions has been changed to:
D) For Individual Client Segregated Accounts, the Clearing House does not allow collateral issued by the Clearing Member holding the Individual Client Segregated Account or by a company within the same group as such Clearing Member.
The changes for government bills and bonds will also be reflected in Appendix 5 of the Default Fund Policy paper, Eligible Funds.
The above changes will come into force 2015-04-16.
Attached document:
Appendix 14 - Collateral list – 2015-04-16
Default Fund Policy Paper - Appendix 5 – Eligible Funds (Default Fund and Loss Sharing Pool) 2015-04-16
For further information regarding this exchange notice please contact Clearing Risk Management, telephone +46 8 405 70 88, or riskmanagement@nasdaq.com
NASDAQ OMX Derivatives Markets
Clearing Risk Management
